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Full scale multi-output Gaussian process emulator with nonseparable auto-covariance functions.

Zhang, B. and Konomi, B. and Sang, H. and Karagiannis, G. and Lin, G. (2015) 'Full scale multi-output Gaussian process emulator with nonseparable auto-covariance functions.', Journal of computational physics., 300 . pp. 623-642.

Abstract

Gaussian process emulator with separable covariance function has been utilized extensively in modeling large computer model outputs. The assumption of separability imposes constraints on the emulator and may negatively affect its performance in some applications where separability may not hold. We propose a multi-output Gaussian process emulator with a nonseparable auto-covariance function to avoid limitations of using separable emulators. In addition, to facilitate the computation of nonseparable emulator, we introduce a new computational method, referred to as the Full-Scale approximation method with block modulating function (FSA-Block) approach. The FSA-Block is an effective and accurate covariance approximation method to reduce computations for Gaussian process models, which applies to both nonseparable and partially separable covariance models. We illustrate the effectiveness of our method through simulation studies and compare it with emulators with separable covariances. We also apply our method to a real computer code of the carbon capture system.

Item Type:Article
Full text:(AM) Accepted Manuscript
Available under License - Creative Commons Attribution Non-commercial No Derivatives.
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Status:Peer-reviewed
Publisher Web site:https://doi.org/10.1016/j.jcp.2015.08.006
Publisher statement:© 2015 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
Date accepted:02 August 2015
Date deposited:22 August 2017
Date of first online publication:10 August 2015
Date first made open access:No date available

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